Regarding the skeg, the booklet suggests to remove the skeg each time the boat is deflated. But I read from a few sources some people leave the skeg installed.
You can keep the fin on the kayak, but it makes it difficult to fold the boat compactly enough to fit into the drybag/backpack, and doing so can stress the attachment patch. The new (2010) black one-piece fin is very quick to put on or take off, unlike the older aluminum fin, so your sources might be a bit out of date. When the boat is new, the fin is pretty "grabby" when you try to insert it into the attachment patch. Try spraying the foot of the fin with UV Tech as a lubricant. Even water helps. After a while it gets easier.